A lot of answers touching on the reasons, especially the carrying of required power and potential (voltage).
The ultimate disadvantage of wireless is headroom, even at multi-GHz connections. What this means is you're listening to a dynamic range of frequencies between 20Hz and 20,000Hz. Those frequencies have to be fit onto a channel with only so much bandwidth at 2.4GHz, 5GHz, 6GHz, or other carrier frequency.
Someone also mentioned interference so imagine sharing your music with one of the many other components on that wireless band and its sidebands and harmonics. You start to compete for priority and, as a result, sound quality suffers.
If it's JUST data, you're usually okay because those are 1s and 0s. But Bluetooth is a good example where you're basically broadcasting and receiving a radio signal at 2.4GHz. Its a crap load better than 104.3MHz, but still not better than lamp cord 🙂